Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1180 |
| Annualized Std Dev | 0.2180 |
| Annualized Sharpe (Rf=0%) | 0.5412 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4191.0000 |
| NAs | 1.0000 |
| Minimum | -0.1215 |
| Quartile 1 | -0.0052 |
| Median | 0.0013 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1154 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | -0.4982 |
| Kurtosis | 9.4195 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.5905 |
| Historical VaR (95%) | -0.0208 |
| Historical ES (95%) | -0.0342 |
| Modified VaR (95%) | -0.0213 |
| Modified ES (95%) | -0.0433 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2011-02-14 | -0.5905 | 828 | 267 | 561 |
| 2020-02-20 | 2020-03-23 | 2020-06-01 | -0.3405 | 71 | 23 | 48 |
| 2011-07-08 | 2011-10-03 | 2013-01-15 | -0.2578 | 383 | 61 | 322 |
| 2015-04-24 | 2016-02-11 | 2017-02-09 | -0.2468 | 452 | 202 | 250 |
| 2018-09-05 | 2018-12-24 | 2019-04-01 | -0.2378 | 143 | 77 | 66 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | 0.6 | 1.1 | 1.9 | 0 | 1.5 | 0 | 5.3 |
| 2005 | 0.3 | 0.6 | -0.2 | 0.3 | 0.7 | 0.2 | 0.1 | 0 | 0.7 | 0.6 | 1.6 | -0.3 | 4.8 |
| 2006 | 0.1 | 1.6 | 0 | -0.2 | 1.4 | 0.9 | -1.1 | 0.6 | -0.2 | -1.4 | -0.4 | -0.8 | 0.4 |
| 2007 | 0.7 | -0.4 | -0.1 | -0.2 | 0.5 | -0.2 | 0.3 | 1.8 | 1.3 | -2.2 | 0.6 | -0.7 | 1.4 |
| 2008 | 2.7 | -2.8 | 3.2 | 0.9 | 1 | 0 | -0.4 | -1.3 | -1.4 | 1.5 | -9.9 | 1.9 | -5.1 |
| 2009 | -2.4 | -0.8 | 1 | 0.4 | 3.6 | 0 | -0.2 | -1.8 | -3.3 | -2.3 | 1.5 | -0.9 | -5.4 |
| 2010 | 1.9 | 2 | 0.9 | -1.6 | -2.1 | -0.1 | 0.3 | 3.1 | 0.2 | -0.6 | 2.2 | -0.2 | 6.1 |
| 2011 | 1.6 | -1.7 | 0.2 | 0.6 | -1.3 | 1.4 | -0.8 | -1.4 | 0.3 | -3 | -0.2 | -0.4 | -4.7 |
| 2012 | 1.3 | 1.1 | 0.2 | 0.9 | -3.8 | 3.1 | -0.8 | 0.7 | -0.4 | 1.7 | 0 | 1.7 | 5.7 |
| 2013 | 1 | 0.1 | -1 | -0.8 | -1.2 | 1.6 | 1.9 | -0.8 | 1.4 | 0.4 | -0.2 | 0.4 | 2.8 |
| 2014 | -0.4 | -0.7 | 1.1 | 0.2 | 0 | 0.7 | -0.5 | 0.4 | -1.7 | 1.3 | -2.3 | 0.1 | -1.9 |
| 2015 | -0.7 | 0 | -1.2 | 1 | 0.4 | 0.2 | 0.9 | -3 | -0.2 | 0.1 | 0.7 | -0.1 | -1.8 |
| 2016 | 0.4 | 2.1 | 0.5 | -0.9 | 0.5 | 0.2 | -0.3 | 0.2 | 0.8 | -0.8 | -1.5 | -0.2 | 1.1 |
| 2017 | -0.4 | 1.3 | 0.2 | 0.4 | 1.3 | 0.4 | 0.1 | 0.3 | 0.6 | -0.2 | -0.3 | 0 | 3.6 |
| 2018 | 0 | -1.3 | 2.3 | -0.1 | 1 | 0.7 | 0.3 | 0.3 | -0.8 | 1.5 | 0.6 | 1.1 | 5.6 |
| 2019 | 0.7 | 0.8 | 1 | -1.2 | -0.6 | 0.8 | -1.2 | -0.3 | -1.2 | 1 | -0.6 | 0.3 | -0.4 |
| 2020 | -1.8 | -0.9 | -4.4 | -2.6 | 0.8 | 1.2 | 0.4 | 1.9 | 1.5 | -2.7 | -0.2 | 0 | -6.9 |
| 2021 | 1.9 | 2.5 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-07-02 58.5 SPY 113. -0.0005 -8.40e-3 -0.0022 -0.0079 0.131 -0.0713 -0.153 <NA> NA NA NA
2 2004-07-09 57.2 SPY 112. 0.0028 -1.07e-2 -0.0273 -0.0253 0.111 -0.0999 -0.198 <NA> NA NA NA
3 2004-07-13 56.8 SPY 112. 0.0007 -3.00e-4 -0.0218 -0.0258 0.116 -0.0807 -0.198 <NA> NA NA NA
4 2004-07-14 56.8 SPY 112. -0.003 -6.20e-3 -0.015 -0.0149 0.107 -0.0633 -0.202 <NA> NA NA NA
5 2004-07-15 57.0 SPY 111. -0.0065 -5.60e-3 -0.0282 -0.0228 0.102 -0.0744 -0.211 <NA> NA NA NA
6 2004-07-16 56.4 SPY 111. -0.0008 -9.10e-3 -0.0289 -0.0199 0.108 -0.0638 -0.208 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
